mafipy.function.d_fhess_by_strike

mafipy.function.d_fhess_by_strike(underlying, strike, rate, maturity, vol)

second derivative of \(d_{i}\ (i = 1, 2)\) with respect to \(K\), where \(K\) is strike.

\[\frac{\partial^{2}}{\partial K^{2}} d_{1}(K) = \frac{1}{S \sigma \sqrt{T} },\]

where \(S\) is underlying, \(\sigma\) is vol, \(T\) is maturity.

Parameters:

• underlying (float) –
• strike (float) –
• rate (float) –
• maturity (float) –
• vol (float) –

Returns:

value of second derivative of \(d_{1}\) or \(d_{2}\).

Return type:

float